Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0271 |
| Annualized Std Dev | 0.2363 |
| Annualized Sharpe (Rf=0%) | 0.1145 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3466.0000 |
| NAs | 1.0000 |
| Minimum | -0.1087 |
| Quartile 1 | -0.0059 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0071 |
| Maximum | 0.1918 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0149 |
| Skewness | 0.0674 |
| Kurtosis | 14.5050 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0108 |
| Gain Deviation | 0.0106 |
| Loss Deviation | 0.0119 |
| Downside Deviation (MAR=210%) | 0.0153 |
| Downside Deviation (Rf=0%) | 0.0107 |
| Downside Deviation (0%) | 0.0107 |
| Maximum Drawdown | 0.6537 |
| Historical VaR (95%) | -0.0223 |
| Historical ES (95%) | -0.0366 |
| Modified VaR (95%) | -0.0196 |
| Modified ES (95%) | -0.0196 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | 2018-01-22 | -0.6537 | 2573 | 339 | 2234 |
| 2020-02-20 | 2020-03-23 | 2020-10-08 | -0.3578 | 162 | 23 | 139 |
| 2018-01-29 | 2018-12-24 | 2019-03-21 | -0.1849 | 288 | 229 | 59 |
| 2007-07-16 | 2007-08-16 | 2007-10-29 | -0.1566 | 75 | 24 | 51 |
| 2021-01-11 | 2021-03-04 | NA | -0.0654 | 49 | 37 | NA |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | 1 | 0.2 | 2.4 | 1 | -2.5 | -2.5 | -0.4 | -0.8 |
| 2008 | 1.1 | -1.7 | 0.6 | 1.8 | -1.3 | 1.8 | -1.2 | -1.3 | -2.4 | 0.3 | -9.4 | 3.3 | -8.6 |
| 2009 | -0.4 | -2.5 | 2.9 | 1.4 | 3.9 | 1.9 | 1.1 | -1.8 | -3.1 | -1.9 | 2.4 | -1 | 2.6 |
| 2010 | 2.2 | 0.8 | 1.7 | -1.1 | -1.6 | 1 | -0.1 | 3.6 | 0.8 | -0.2 | 2.2 | 0.1 | 9.6 |
| 2011 | 2.3 | -1.2 | 0.6 | 0.4 | -1.8 | 1.4 | -1 | -2.2 | -2.9 | -3.7 | -1.5 | 0.1 | -9.1 |
| 2012 | 1.8 | 1.9 | 0.8 | -0.1 | -1.9 | 1.3 | -0.7 | 0.4 | 0.5 | 1.2 | -0.7 | 1.5 | 6 |
| 2013 | 0.3 | -0.3 | -1.5 | -1 | -1.6 | 0.6 | 1.3 | -1.3 | 0.8 | -0.5 | 0.5 | 1.4 | -1.4 |
| 2014 | -0.8 | 0.4 | 0.7 | 0.2 | 0.3 | 0.7 | -0.9 | 0.1 | -1.2 | 0.9 | -0.3 | -0.9 | -0.8 |
| 2015 | -1.1 | 0 | 0.2 | 0 | 0.1 | -0.5 | -0.5 | -2.7 | 0.3 | 0.1 | 1.1 | -0.7 | -3.6 |
| 2016 | -0.1 | 1.8 | 0 | -0.7 | 0.1 | 0.1 | -0.7 | 0.2 | 0.7 | -0.8 | -0.8 | 0 | -0.2 |
| 2017 | 0.3 | 1.3 | 0 | -0.2 | 0.6 | 0.5 | 0.3 | 0.6 | 1.3 | 0.8 | -0.6 | 0 | 5.1 |
| 2018 | 0.1 | -1.3 | 0.2 | 0.9 | 0.9 | 0.8 | -0.9 | 0 | 0.4 | 1.7 | 0.2 | 0.6 | 3.6 |
| 2019 | -0.2 | 0.8 | 1.2 | -0.9 | 0.2 | 0.6 | -0.5 | 0.1 | -0.5 | 1 | -0.8 | 0.3 | 1.2 |
| 2020 | -1.8 | -1.7 | -5.7 | -2.2 | 0.6 | 0.5 | -1 | 0.3 | 0.4 | -0.7 | 1.5 | -0.2 | -9.8 |
| 2021 | 1.6 | 1.6 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-06-13 24.7 SPY 152. 0.015 3.00e-4 0.009 0.0905 0.225 0.328 0.490 GLD 64.5 0.0067 -0.0283
2 2007-06-14 25.2 SPY 153. 0.0064 2.52e-2 0.0152 0.096 0.247 0.350 0.490 GLD 64.6 0.0011 -0.0101
3 2007-06-15 25.5 SPY 153. 0.0057 1.78e-2 0.014 0.110 0.245 0.348 0.514 GLD 64.8 0.0039 0.0098
4 2007-06-18 25.5 SPY 153. -0.00120 1.05e-2 0.0105 0.0905 0.212 0.341 0.508 GLD 65.0 0.0015 0.0039
5 2007-06-19 25.7 SPY 153. 0.0025 2.42e-2 0.0043 0.0873 0.230 0.346 0.472 GLD 65.5 0.0082 0.0215
6 2007-06-20 25.7 SPY 151. -0.0139 -4.90e-3 -0.0092 0.0548 0.222 0.330 0.440 GLD 64.7 -0.0118 0.0028
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
